Option Greeks Simulator
Drag the sliders for spot price, days to expiry and implied volatility, and watch every Greek — and the option's price — respond live. The fastest way to build intuition for how Delta, Gamma, Theta and Vega actually behave.
Try this: Set days to expiry to 1 and drag the spot across the strike — watch Delta flip and Gamma spike. Then lift implied volatility and see the price and Vega jump. That is the whole options game in one screen.
Live values
Option price
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Delta (Δ)
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Gamma (Γ)
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Theta (Θ) / day
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Vega / 1% IV
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Rho / 1% rate
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What to notice
- Spot slider: Delta moves toward 1 (call) or −1 (put) as the option goes deeper in-the-money; Gamma is largest as you cross the strike. See Delta and Gamma.
- Days slider: push it toward 0 and Gamma and Theta explode at-the-money while the price collapses to intrinsic value — the time-decay cliff.
- IV slider: lifting volatility raises the price and Vega; dropping it simulates an IV crush.
Frequently asked questions
Why does Gamma spike when I lower days to expiry?
Near expiry a small move around the strike causes a big change in the probability of finishing in-the-money, so Delta shifts fast — that rate of change is Gamma, and it peaks at-the-money on the last day.
Why does the price barely move when the option is far out-of-the-money?
Far OTM options have very low Delta, so they hardly respond to spot moves until price comes closer to the strike. The simulator shows Delta near zero there.
Educational tool only — not investment advice. Theoretical Black-Scholes values.